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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Eurodollars(CME) as of Jan 01, 2019
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   35 36 36 36 36 36 36 36 36 36 36
Closed Higher   20 18 24 22 26 26 25 16 19 19 17
Exceeded High   18 16 19 20 25 25 17 13 17 13 10
Scenario Percentage   90% 89% 79% 91% 96% 96% 68% 81% 89% 68% 59%
Avg Max Increase   0.63% 0.61% 0.65% 0.65% 0.65% 0.50% 0.59% 0.77% 0.38% 0.22% 0.15%
Max Increase   2.51% 1.65% 2.42% 2.18% 4.13% 3.01% 1.74% 1.83% 1.05% 0.79% 0.58%
Avg Days To Max Increase   17 18 16 18 16 13 19 17 15 10 8
Avg Max Decline   -0.08% -0.15% -0.10% -0.09% -0.17% -0.12% -0.07% -0.14% -0.13% -0.05% -0.03%
Max Decline   -0.24% -0.75% -0.51% -0.29% -0.96% -0.54% -0.23% -0.54% -0.83% -0.16% -0.13%
Avg Days to Max Decline   8 6 9 9 9 5 7 6 8 5 2
2018 Contract Condition   Yes Yes   Yes Yes            
Action   Yes No   Yes Yes            
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   35 36 36 36 36 36 36 36 36 36 36
Closed Lower   15 18 12 14 9 10 10 18 15 17 19
Penetrated Low   14 11 5 8 5 6 8 12 8 13 13
Scenario Percentage   93% 61% 42% 57% 56% 60% 80% 67% 53% 76% 68%
Avg Max Decline   0.69% 0.34% 0.23% 0.41% 0.63% 0.50% 0.38% 0.25% 0.38% 0.24% 0.13%
Max Decline   2.28% 0.94% 0.54% 1.20% 1.94% 1.18% 1.12% 0.73% 1.10% 0.93% 0.28%
Avg Days To Max Decline   16 13 13 17 13 19 19 18 20 10 9
Avg Max Increase   -0.09% -0.19% -0.10% -0.16% -0.13% -0.08% -0.07% -0.05% -0.05% -0.06% -0.03%
Max Increase   -0.43% -0.64% -0.19% -0.50% -0.37% -0.17% -0.18% -0.14% -0.24% -0.23% -0.10%
Avg Days to Max Increase   5 6 9 8 5 11 4 3 8 5 1
2018 Contract Condition       Yes     Yes Yes Yes Yes Yes Yes
Action       Yes     Yes Yes Yes Yes Yes Yes
High 98.375 98.525 98.595 98.570 98.495 98.555 98.585 98.410 98.350 98.280 98.240 98.145
Low 98.200 98.335 98.380 98.435 98.390 98.445 98.380 98.330 98.255 98.205 98.115 97.860
Close/Last 98.345 98.430 98.535 98.440 98.470 98.540 98.410 98.350 98.255 98.240 98.120 97.885

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